股指期货在我国的应用研究

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1、天津大学博士学位论文股指期货在我国的应用研究姓名：臧玉卫申请学位级别：博士专业：管理决策与运筹技术指导教师：吴育华20030601AbstractThestocklndexfuturesarestandardizedfuturecontractsforwhichunderlyingISthestockpriceindex．TheroleandpositionofChinesestockmarketisbecomingmoreandmoreimportantinnationaleconomy．WiththedevelopmentofChinesecapitalmarke

2、t，theinvestorsfromdifferentorganizations，suchaSopen—endfund，socialsecurityfundandassurancecapitalareformingcontinuedflowinthestockmarket．Inordertoensurethesafeoperationofhugesumofmoneyandthenormaldevelopmentofthestockmarket，thereisanurgentneedofefficientriskpreventioninstrumentssuchasst

3、ockindexfuturesinChinesecapitalmarket．Thecarryingoutofthestockindexfutureswillbebeneficialtooptimizingthefunctionandthemechanismofthestockmarket，enrichingtheinvestmentinstntmentsofthemaSsofinvestorsandplayanimportantparttOacceleratethedevelopmentofChinesestockmarket．Thisthesisfocusesont

4、hestudyofthepricingandarbitrageofthestockindexfutures；hedgingofthestockindexfuturesandtheoperatingofthestockindexfuturesforopen—endfund；riskmanagementofthestockindexfuturesandtheapplicationofdatamimnginthestockindexfutures．First，thethesisstudiedhedgingandspeculating．Theinventionofthesto

5、ckindexfutureswasoriginallysetforavoidingandtransferringtheriskforbusinessowners．ThebaSicprincipleofhedgingisthetendencyofthepriceinthecashmarketwiththatinthefuturesmarket．Thebasichedgingmethodisthebusinessactivitiesofasamekindofcommoditywithequalquantitybutinthereversedirectionbetweent

6、hecashmarketandthefuturesmarket．Thethesish出proposedseveralhedgingstrategiesforbusinessownersbymeansofs仃ongandweakbasis．Correspondingtohedgers’transferringpriceriskandabandoningriskearnings，thespeculatorsinthestockindexfuturesmarketshallintentionallytaketheriskfromhedgersinpursuitofprofi

7、t．Speculatingandhedgingaretwomajoreconomicactivitiesinthefuturesmarket．Second，thispaperhaSalsostudiedthepricingandarbitrageofstockindexfutures．Thetheoryfoundationoffuturespricingisbasedontheprinciplethatthequotationoftwosimilarcapitalintwomarketsshallnecessarybethesame．Thefutur